Frequency Domain Estimation of Integrated Volatility for Itô Processes in the Presence of Market-Microstructure Noise (Q3567037)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Frequency Domain Estimation of Integrated Volatility for Itô Processes in the Presence of Market-Microstructure Noise |
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Frequency Domain Estimation of Integrated Volatility for Itô Processes in the Presence of Market-Microstructure Noise (English)
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10 June 2010
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bias correction
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market microstructure noise
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realized volatility
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multiscale inference
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Whittle likelihood
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